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1. 1. A comparison of the IRB approach and the Standard Approach under CRR for purchased defaulted retail exposures

   Magister-uppsats, KTH/Matematisk statistik

   Författare :Simon Måssebäck; [2014]
   Nyckelord :;

   Sammanfattning : We investigate under what circumstances the IRB approach under Regulation (EU) no 575/2013 (Capital Requirements Regulation) renders a lower capital requirement for purchased defaulted retail exposures than under the Standard Approach of the same regulation. We also discuss some alternative approaches to calculating the capital requirement for the mentioned exposures. LÄS MER